460 reputation
415
bio website
location Santiago, Chile
age 32
visits member for 2 years, 7 months
seen Jun 27 at 1:07

Oct
22
awarded  Citizen Patrol
Oct
9
comment Trading a synthetic replication of the VVIX (volatility of VIX)
Thanks. The point: the mean reversion of the vvix.
Oct
9
awarded  Excavator
Oct
9
revised Trading a synthetic replication of the VVIX (volatility of VIX)
Changed title so people don't think is repeated question
Oct
9
awarded  Custodian
Oct
9
reviewed Leave Open Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
Oct
9
reviewed Leave Open T-note returns from T-note yields … derivation of Damodaran's formula
Oct
9
asked Trading a synthetic replication of the VVIX (volatility of VIX)
Oct
9
awarded  Editor
Oct
9
revised Trading a synthetic replication of the VIX index
Used Larry William's Highest(...) function instead of max(...) that can lead to confusion.
Oct
9
suggested suggested edit on Trading a synthetic replication of the VIX index
Oct
5
accepted Why the interest rate for put-call parity is not constant?
Oct
5
comment Why the interest rate for put-call parity is not constant?
Thanks Strange. I was not considering dividends at all.
Oct
5
asked Why the interest rate for put-call parity is not constant?
Oct
5
accepted How should I include the bid-ask spread as a transaction cost in a backtest?
Oct
5
accepted When to use Monte Carlo simulation over analytical methods for options pricing?
Oct
2
asked When to use Monte Carlo simulation over analytical methods for options pricing?
Jun
10
asked How should I include the bid-ask spread as a transaction cost in a backtest?
Jun
10
accepted Two prices pass the cointegration test but there is a trend. How to check stationarity?
Jun
10
accepted Choosing the time-frame to test for cointegration